Wednesday, March 29, 2023

Scandi FX Volatility Monitor – Sell 1M EUR/SEK Call


Implied volatility increased substantially in the Scandi FX sphere towards the end of last week after broke above 10.60.

Given the current relatively constructive risk environment (globally), we see a case for renewed downward pressure on implied vol. In this environment, both NOK and SEK should find some support vis-à-vis EUR and USD. Moreover, note that our economists are more bullish than consensus on the Swedish Q4 GDP release (due on Thursday). See Reading the Markets Sweden , 22 February 2019, for details. If we are right, it could curb EUR/SEK upside risks in the short term.

Hence, given the current spot and vol. levels, we see value in selling 1M EUR/SEK calls (we recommend selling 20-35 delta calls).

Sell 1M EURSEK Call

High-Low Gamma Value
Important dates
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